HIGH FREQUENCY DATA/PORTFOLIO ANALYTICS/HIGH DIMENSIONAL STATISTICS

FinStaR

Financial Statistics Research

ABOUT US

We provide answers to questions like the following, in portfolio optimization, risk management, trading, and other related fields.

• Why mathematically accurate formulas lead to poor out-of-sample performance? (Such as Markowitz mean-variance optimal portfolio, minimum variance portfolio, etc).• How high-dimensionality affects our understanding of the population from sample, on such aspects as covariance structure, eigenvalues, principle components etc? -- “curse of dimensionality”• How high-frequency data may lead to terribly biased estimates of parameters (volatilities/covolatilities etc) and affect further decision making? -- “curse of frequency”• How to make better use of high-frequency and high-dimensional data, changing “curse of dimensionality” and “curse of frequency” into “bless of dimensionality and frequency”?